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2021-03-24

五路口总经理

Jury out on whether ARK Innovation returns are due to Cathie Wood’s skill or luck<blockquote>方舟创新的回报是由于凯西·伍德的技能还是运气还没有定论</blockquote>

Statistical scrutiny brings this high-flying ETF down to earth You could have performed as well as t

Jury out on whether ARK Innovation returns are due to Cathie Wood’s skill or luck<blockquote>方舟创新的回报是由于凯西·伍德的技能还是运气还没有定论</blockquote>

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{"i18n":{"language":"zh_CN"},"data":{"magic":2,"id":353705326,"tweetId":"353705326","gmtCreate":1616521240165,"gmtModify":1616521240165,"author":{"id":3437280010873677,"idStr":"3437280010873677","authorId":3437280010873677,"authorIdStr":"3437280010873677","name":"么一下","avatar":"https://static.tigerbbs.com/1bbdd87a6bf326495d4f04cb4202345a","vip":1,"userType":1,"introduction":"","boolIsFan":false,"boolIsHead":false,"crmLevel":2,"crmLevelSwitch":0,"individualDisplayBadges":[],"fanSize":0,"starInvestorFlag":false},"themes":[],"images":[],"coverImages":[],"extraTitle":"","html":"<html><head></head><body>五路口总经理</body></html>","htmlText":"<html><head></head><body>五路口总经理</body></html>","text":"五路口总经理","highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"favoriteSize":0,"link":"https://laohu8.com/post/353705326","repostId":1137063642,"repostType":4,"repost":{"id":"1137063642","kind":"news","pubTimestamp":1616505836,"share":"https://www.laohu8.com/m/news/1137063642?lang=zh_CN&edition=full","pubTime":"2021-03-23 21:23","market":"us","language":"en","title":"Jury out on whether ARK Innovation returns are due to Cathie Wood’s skill or luck<blockquote>方舟创新的回报是由于凯西·伍德的技能还是运气还没有定论</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1137063642","media":"MarketWatch","summary":"Statistical scrutiny brings this high-flying ETF down to earth\nYou could have performed as well as t","content":"Statistical scrutiny brings this high-flying ETF down to earth<blockquote>统计审查让这只飞速发展的ETF脚踏实地</blockquote> You could have performed as well as the high-flying ARK Innovation ETF by investing in the Nasdaq 100 Index.<blockquote>通过投资纳斯达克100指数，您本可以表现得与飞速发展的ARK Innovation ETF一样好。</blockquote> I know that seems hard to believe, given the stunning performance chief investment officer Cathie Wood has produced with ARK Innovation— a 229% gain over the past year, according to FactSet. Meanwhile, the Invesco QQQ Trust&nbsp;(which is benchmarked to the Nasdaq 100), gained 78%. Since its creation in October 2014, ARK Innovation has produced an annualized gain of 34.6%, versus 20.6% for the QQQ.<blockquote>我知道这似乎很难相信，因为首席投资官Cathie Wood凭借ARK Innovation取得了令人惊叹的业绩——根据FactSet的数据，过去一年增长了229%。与此同时，景顺QQQ信托（以纳斯达克100指数为基准）上涨了78%。自2014年10月成立以来，ARK Innovation的年化收益为34.6%，而QQQ的年化收益为20.6%。</blockquote> At the same time, ARK Innovation has been extremely volatile and risky, making an apples-to-apples comparison with the Nasdaq 100 misleading. As measured by the standard deviation of monthly returns, ARK Innovation has been 73% more volatile than QQQ. That’s really saying something, since QQQ is itself more volatile than broad market indices such as the S&amp;P 500.<blockquote>与此同时，方舟创新的波动性和风险极高，与纳斯达克100指数进行同类比较具有误导性。以月回报率的标准差衡量，ARK Innovation的波动性比QQQ高出73%。这确实说明了一些问题，因为QQQ本身比标普500等大盘指数波动性更大。</blockquote> One approach statisticians use to create an apples-to-apples comparison is with a metric known as the Sharpe Ratio, invented by William Sharpe, the 1990 Nobel laureate in economics. It is the ratio of a fund’s average returns to the standard deviation of those returns. The Sharpe Ratio of ARK Innovation’s monthly returns since 2014 is almost precisely the same as the QQQ’s.<blockquote>统计学家用来进行同类比较的一种方法是使用一种称为夏普比率的指标，该指标由1990年诺贝尔经济学奖获得者威廉·夏普发明。它是基金的平均回报与这些回报的标准差的比率。ARK Innovation自2014年以来每月回报的夏普比率几乎与QQQ完全相同。</blockquote> If you’re like some of my clients, your reaction is not to care about the Sharpe Ratio. “You can’t take the Sharpe Ratio to the bank,” you in effect tell me. It’s raw performance that counts, and on that basis there’s no doubt that the ARKK did far better.<blockquote>如果你像我的一些客户一样，你的反应是不关心夏普比率。“你不能把夏普比率带到银行，”你实际上是在告诉我。重要的是原始性能，在此基础上，毫无疑问ARKK的表现要好得多。</blockquote> This reaction is confused, however. In fact you can take the Sharpe Ratio to the bank. If you had been willing to incur the ARK Innovation’s increased volatility, you could have made just as much by leveraging an investment in the QQQ. That is, you would have made just as much by increasing your portfolio allocation to QQQ, or by buying it on sufficient margin. This is illustrated in the chart below:<blockquote>然而，这种反应令人困惑。事实上，你可以把夏普比率拿到银行。如果你愿意承受方舟创新增加的波动性，你可以通过投资QQQ来赚同样多的钱。也就是说，通过增加QQQ的投资组合配置，或者以足够的保证金购买，您可以赚到同样多的钱。如下图所示：</blockquote> <img src=\"https://static.tigerbbs.com/13b81e9f1962e464faeb2d45cdd0e5f9\" tg-width=\"1260\" tg-height=\"849\"><blockquote></blockquote> The Sharpe Ratio is not the only method that statisticians employ for measuring adviser performance on a level playing field, but other widely used approaches reach the same conclusion. Perhaps the best known, at least in academic circles, is the Fama-French factor model, named for University of Chicago finance professor Eugene Fama (the 2013 Nobel laureate in economics) and Dartmouth College professor Ken French. Their model involves an econometric test to see if a mutual fund’s return is significantly better than a combination of index funds benchmarked to factors such as small-cap, growth, and momentum.<blockquote>夏普比率并不是统计学家在公平竞争环境中衡量顾问表现的唯一方法，但其他广泛使用的方法也得出了相同的结论。也许最著名的，至少在学术界，是以芝加哥大学金融学教授尤金·法玛（2013年诺贝尔经济学奖得主）和达特茅斯学院教授肯·弗伦奇的名字命名的法玛-弗伦奇因子模型。他们的模型涉及计量经济学测试，以了解共同基金的回报是否明显优于以小盘股、增长和动量等因素为基准的指数基金组合。</blockquote> The answer for ARK Innovation is “no” — an overweight allocation to a small-cap growth fund would have produced the same overall return since November 2014.<blockquote>ARK Innovation的答案是“不”——自2014年11月以来，跑赢大盘对小盘成长基金的配置将产生相同的整体回报。</blockquote> Luck versus skill<blockquote>运气与技巧</blockquote> Note carefully that these statistical tests do not prove that ARK Innovation’s performance is due solely to luck. Instead, those tests tell us that we cannot conclude that its performance was not due to luck. In this case, the double negative is not the same as the positive; this is a subtle, but important, difference.<blockquote>仔细注意，这些统计测试并不能证明方舟创新的表现完全是运气使然。相反，这些测试告诉我们，我们不能断定它的表现不是由于运气。在这种情况下，双重否定并不等同于肯定；这是一个微妙但重要的区别。</blockquote> This goes to show just how difficult it is to prove that an investment manager has genuine market-beating ability. If beating an index fund by more than 10 percentage points annualized over a 6-plus-year period is not enough, then what is? (An email to ARK Investment Management requesting comment was not immediately answered.)<blockquote>这表明，证明一位投资经理具有真正的跑赢市场的能力是多么困难。如果在6年多的时间里年化指数基金超过10个百分点还不够，那么还有什么呢？（发送给方舟投资管理公司请求置评的电子邮件没有立即得到回复。）</blockquote> The answer: Satisfying traditional standards of statistical significance requires beating the market by a larger amount over a much longer period.<blockquote>答案是：满足统计意义的传统标准需要在更长的时间内以更大的幅度击败市场。</blockquote> An example of a fund that does jump over this much-higher hurdle is Renaissance Technologies’ Medallion Fund, a hedge fund that has produced an incredible 39% annualized return over the 33 calendar years through 2020, versus “just” 11% annualized for an index fund. Bradford Cornell, an emeritus finance professor at UCLA, told me in an interview that it is impossible to attribute that fund’s outperformance to mere luck. (Unfortunately, this fund is only available to current and former partners at Renaissance Technologies.)<blockquote>确实跨越这一更高障碍的基金的一个例子是Renaissance Technologies的Medallion基金，该对冲基金在截至2020年的33个日历年中产生了令人难以置信的39%的年化回报率，而“仅”为11%指数基金。加州大学洛杉矶分校名誉金融学教授布拉德福德·康奈尔在接受采访时告诉我，不可能将该基金的优异表现仅仅归因于运气。（不幸的是，该基金仅适用于Renaissance Technologies的现任和前任合作伙伴。）</blockquote> In the meantime, it’s too early to render anything close to a final verdict on ARK Innovation’s stunning performance. Its performance over the next several years may prove to be good enough to eventually satisfy traditional standards of statistical significance. Until then we can’t be sure. This is yet another reason why index funds are the default investment of choice.<blockquote>与此同时，现在对方舟创新的惊人表现做出任何接近最终结论还为时过早。它在未来几年的表现可能会被证明足够好，最终满足传统的统计意义标准。在那之前我们不能确定。这也是指数基金成为默认投资选择的另一个原因。</blockquote>","source":"market_watch","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>Jury out on whether ARK Innovation returns are due to Cathie Wood’s skill or luck<blockquote>方舟创新的回报是由于凯西·伍德的技能还是运气还没有定论</blockquote></title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nJury out on whether ARK Innovation returns are due to Cathie Wood’s skill or luck<blockquote>方舟创新的回报是由于凯西·伍德的技能还是运气还没有定论</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nMarketWatch2021-03-23 21:23\n\n</h4>\n</header>\n<article>\nStatistical scrutiny brings this high-flying ETF down to earth<blockquote>统计审查让这只飞速发展的ETF脚踏实地</blockquote> You could have performed as well as the high-flying ARK Innovation ETF by investing in the Nasdaq 100 Index.<blockquote>通过投资纳斯达克100指数，您本可以表现得与飞速发展的ARK Innovation ETF一样好。</blockquote> I know that seems hard to believe, given the stunning performance chief investment officer Cathie Wood has produced with ARK Innovation— a 229% gain over the past year, according to FactSet. Meanwhile, the Invesco QQQ Trust&nbsp;(which is benchmarked to the Nasdaq 100), gained 78%. Since its creation in October 2014, ARK Innovation has produced an annualized gain of 34.6%, versus 20.6% for the QQQ.<blockquote>我知道这似乎很难相信，因为首席投资官Cathie Wood凭借ARK Innovation取得了令人惊叹的业绩——根据FactSet的数据，过去一年增长了229%。与此同时，景顺QQQ信托（以纳斯达克100指数为基准）上涨了78%。自2014年10月成立以来，ARK Innovation的年化收益为34.6%，而QQQ的年化收益为20.6%。</blockquote> At the same time, ARK Innovation has been extremely volatile and risky, making an apples-to-apples comparison with the Nasdaq 100 misleading. As measured by the standard deviation of monthly returns, ARK Innovation has been 73% more volatile than QQQ. That’s really saying something, since QQQ is itself more volatile than broad market indices such as the S&amp;P 500.<blockquote>与此同时，方舟创新的波动性和风险极高，与纳斯达克100指数进行同类比较具有误导性。以月回报率的标准差衡量，ARK Innovation的波动性比QQQ高出73%。这确实说明了一些问题，因为QQQ本身比标普500等大盘指数波动性更大。</blockquote> One approach statisticians use to create an apples-to-apples comparison is with a metric known as the Sharpe Ratio, invented by William Sharpe, the 1990 Nobel laureate in economics. It is the ratio of a fund’s average returns to the standard deviation of those returns. The Sharpe Ratio of ARK Innovation’s monthly returns since 2014 is almost precisely the same as the QQQ’s.<blockquote>统计学家用来进行同类比较的一种方法是使用一种称为夏普比率的指标，该指标由1990年诺贝尔经济学奖获得者威廉·夏普发明。它是基金的平均回报与这些回报的标准差的比率。ARK Innovation自2014年以来每月回报的夏普比率几乎与QQQ完全相同。</blockquote> If you’re like some of my clients, your reaction is not to care about the Sharpe Ratio. “You can’t take the Sharpe Ratio to the bank,” you in effect tell me. It’s raw performance that counts, and on that basis there’s no doubt that the ARKK did far better.<blockquote>如果你像我的一些客户一样，你的反应是不关心夏普比率。“你不能把夏普比率带到银行，”你实际上是在告诉我。重要的是原始性能，在此基础上，毫无疑问ARKK的表现要好得多。</blockquote> This reaction is confused, however. In fact you can take the Sharpe Ratio to the bank. If you had been willing to incur the ARK Innovation’s increased volatility, you could have made just as much by leveraging an investment in the QQQ. That is, you would have made just as much by increasing your portfolio allocation to QQQ, or by buying it on sufficient margin. This is illustrated in the chart below:<blockquote>然而，这种反应令人困惑。事实上，你可以把夏普比率拿到银行。如果你愿意承受方舟创新增加的波动性，你可以通过投资QQQ来赚同样多的钱。也就是说，通过增加QQQ的投资组合配置，或者以足够的保证金购买，您可以赚到同样多的钱。如下图所示：</blockquote> <img src=\"https://static.tigerbbs.com/13b81e9f1962e464faeb2d45cdd0e5f9\" tg-width=\"1260\" tg-height=\"849\"><blockquote></blockquote> The Sharpe Ratio is not the only method that statisticians employ for measuring adviser performance on a level playing field, but other widely used approaches reach the same conclusion. Perhaps the best known, at least in academic circles, is the Fama-French factor model, named for University of Chicago finance professor Eugene Fama (the 2013 Nobel laureate in economics) and Dartmouth College professor Ken French. Their model involves an econometric test to see if a mutual fund’s return is significantly better than a combination of index funds benchmarked to factors such as small-cap, growth, and momentum.<blockquote>夏普比率并不是统计学家在公平竞争环境中衡量顾问表现的唯一方法，但其他广泛使用的方法也得出了相同的结论。也许最著名的，至少在学术界，是以芝加哥大学金融学教授尤金·法玛（2013年诺贝尔经济学奖得主）和达特茅斯学院教授肯·弗伦奇的名字命名的法玛-弗伦奇因子模型。他们的模型涉及计量经济学测试，以了解共同基金的回报是否明显优于以小盘股、增长和动量等因素为基准的指数基金组合。</blockquote> The answer for ARK Innovation is “no” — an overweight allocation to a small-cap growth fund would have produced the same overall return since November 2014.<blockquote>ARK Innovation的答案是“不”——自2014年11月以来，跑赢大盘对小盘成长基金的配置将产生相同的整体回报。</blockquote> Luck versus skill<blockquote>运气与技巧</blockquote> Note carefully that these statistical tests do not prove that ARK Innovation’s performance is due solely to luck. Instead, those tests tell us that we cannot conclude that its performance was not due to luck. In this case, the double negative is not the same as the positive; this is a subtle, but important, difference.<blockquote>仔细注意，这些统计测试并不能证明方舟创新的表现完全是运气使然。相反，这些测试告诉我们，我们不能断定它的表现不是由于运气。在这种情况下，双重否定并不等同于肯定；这是一个微妙但重要的区别。</blockquote> This goes to show just how difficult it is to prove that an investment manager has genuine market-beating ability. If beating an index fund by more than 10 percentage points annualized over a 6-plus-year period is not enough, then what is? (An email to ARK Investment Management requesting comment was not immediately answered.)<blockquote>这表明，证明一位投资经理具有真正的跑赢市场的能力是多么困难。如果在6年多的时间里年化指数基金超过10个百分点还不够，那么还有什么呢？（发送给方舟投资管理公司请求置评的电子邮件没有立即得到回复。）</blockquote> The answer: Satisfying traditional standards of statistical significance requires beating the market by a larger amount over a much longer period.<blockquote>答案是：满足统计意义的传统标准需要在更长的时间内以更大的幅度击败市场。</blockquote> An example of a fund that does jump over this much-higher hurdle is Renaissance Technologies’ Medallion Fund, a hedge fund that has produced an incredible 39% annualized return over the 33 calendar years through 2020, versus “just” 11% annualized for an index fund. Bradford Cornell, an emeritus finance professor at UCLA, told me in an interview that it is impossible to attribute that fund’s outperformance to mere luck. (Unfortunately, this fund is only available to current and former partners at Renaissance Technologies.)<blockquote>确实跨越这一更高障碍的基金的一个例子是Renaissance Technologies的Medallion基金，该对冲基金在截至2020年的33个日历年中产生了令人难以置信的39%的年化回报率，而“仅”为11%指数基金。加州大学洛杉矶分校名誉金融学教授布拉德福德·康奈尔在接受采访时告诉我，不可能将该基金的优异表现仅仅归因于运气。（不幸的是，该基金仅适用于Renaissance Technologies的现任和前任合作伙伴。）</blockquote> In the meantime, it’s too early to render anything close to a final verdict on ARK Innovation’s stunning performance. Its performance over the next several years may prove to be good enough to eventually satisfy traditional standards of statistical significance. Until then we can’t be sure. This is yet another reason why index funds are the default investment of choice.<blockquote>与此同时，现在对方舟创新的惊人表现做出任何接近最终结论还为时过早。它在未来几年的表现可能会被证明足够好，最终满足传统的统计意义标准。在那之前我们不能确定。这也是指数基金成为默认投资选择的另一个原因。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.marketwatch.com/story/the-jury-is-out-on-whether-ark-innovations-red-hot-returns-are-due-to-cathie-woods-skill-or-luck-11616460092?mod=home-page\">MarketWatch</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"","relate_stocks":{"ARKF":"ARK Fintech Innovation ETF","ARKQ":"ARK Autonomous Technology & Robotics ETF","QQQ":"纳指100ETF","TSLA":"特斯拉","ARKK":"ARK Innovation ETF"},"source_url":"https://www.marketwatch.com/story/the-jury-is-out-on-whether-ark-innovations-red-hot-returns-are-due-to-cathie-woods-skill-or-luck-11616460092?mod=home-page","is_english":true,"share_image_url":"https://static.laohu8.com/599a65733b8245fcf7868668ef9ad712","article_id":"1137063642","content_text":"Statistical scrutiny brings this high-flying ETF down to earth\nYou could have performed as well as the high-flying ARK Innovation ETF by investing in the Nasdaq 100 Index.\nI know that seems hard to believe, given the stunning performance chief investment officer Cathie Wood has produced with ARK Innovation— a 229% gain over the past year, according to FactSet. Meanwhile, the Invesco QQQ Trust (which is benchmarked to the Nasdaq 100), gained 78%. Since its creation in October 2014, ARK Innovation has produced an annualized gain of 34.6%, versus 20.6% for the QQQ.\nAt the same time, ARK Innovation has been extremely volatile and risky, making an apples-to-apples comparison with the Nasdaq 100 misleading. As measured by the standard deviation of monthly returns, ARK Innovation has been 73% more volatile than QQQ. That’s really saying something, since QQQ is itself more volatile than broad market indices such as the S&P 500.\nOne approach statisticians use to create an apples-to-apples comparison is with a metric known as the Sharpe Ratio, invented by William Sharpe, the 1990 Nobel laureate in economics. It is the ratio of a fund’s average returns to the standard deviation of those returns. The Sharpe Ratio of ARK Innovation’s monthly returns since 2014 is almost precisely the same as the QQQ’s.\nIf you’re like some of my clients, your reaction is not to care about the Sharpe Ratio. “You can’t take the Sharpe Ratio to the bank,” you in effect tell me. It’s raw performance that counts, and on that basis there’s no doubt that the ARKK did far better.\nThis reaction is confused, however. In fact you can take the Sharpe Ratio to the bank. If you had been willing to incur the ARK Innovation’s increased volatility, you could have made just as much by leveraging an investment in the QQQ. That is, you would have made just as much by increasing your portfolio allocation to QQQ, or by buying it on sufficient margin. This is illustrated in the chart below:\n\nThe Sharpe Ratio is not the only method that statisticians employ for measuring adviser performance on a level playing field, but other widely used approaches reach the same conclusion. Perhaps the best known, at least in academic circles, is the Fama-French factor model, named for University of Chicago finance professor Eugene Fama (the 2013 Nobel laureate in economics) and Dartmouth College professor Ken French. Their model involves an econometric test to see if a mutual fund’s return is significantly better than a combination of index funds benchmarked to factors such as small-cap, growth, and momentum.\nThe answer for ARK Innovation is “no” — an overweight allocation to a small-cap growth fund would have produced the same overall return since November 2014.\nLuck versus skill\nNote carefully that these statistical tests do not prove that ARK Innovation’s performance is due solely to luck. Instead, those tests tell us that we cannot conclude that its performance was not due to luck. In this case, the double negative is not the same as the positive; this is a subtle, but important, difference.\nThis goes to show just how difficult it is to prove that an investment manager has genuine market-beating ability. If beating an index fund by more than 10 percentage points annualized over a 6-plus-year period is not enough, then what is? (An email to ARK Investment Management requesting comment was not immediately answered.)\nThe answer: Satisfying traditional standards of statistical significance requires beating the market by a larger amount over a much longer period.\nAn example of a fund that does jump over this much-higher hurdle is Renaissance Technologies’ Medallion Fund, a hedge fund that has produced an incredible 39% annualized return over the 33 calendar years through 2020, versus “just” 11% annualized for an index fund. Bradford Cornell, an emeritus finance professor at UCLA, told me in an interview that it is impossible to attribute that fund’s outperformance to mere luck. (Unfortunately, this fund is only available to current and former partners at Renaissance Technologies.)\nIn the meantime, it’s too early to render anything close to a final verdict on ARK Innovation’s stunning performance. Its performance over the next several years may prove to be good enough to eventually satisfy traditional standards of statistical significance. Until then we can’t be sure. This is yet another reason why index funds are the default investment of choice.","news_type":1,"symbols_score_info":{"TSLA":0.9,"ARKQ":0.9,"ARKF":0.9,"QQQ":0.9,"ARKK":0.9}},"isVote":1,"tweetType":1,"viewCount":2740,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"CN","currentLanguage":"CN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":12,"xxTargetLangEnum":"ZH_CN"},"commentList":[],"hasMoreComment":false,"orderType":2}